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sbm Description The commodity vega risk charge based on the ‘Medium correlations’ scenario Variations euler , incremental , euler , pro_rata , high-low , netted , reported Reference [MAR21.4] Formula K = ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ S b ⋅ S c , where S b = ∑ k W S k if ∑ b K b 2 + ∑ b ∑ c ≠ b γ b c ⋅ K b ⋅ K c > 0 else S b = m a x ( m i n ( ∑ k W S k , K b ) , − K b ) \displaystyle K = \sqrt{\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c}, \text{ where }S_b = \sum _{k} WS_k \text{ if }\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot K_b \cdot K_c >0 \text{ else } S_b = max(min( \sum _{k} WS_k , K_b), -K_b) K = b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ S b ⋅ S c , where S b = k ∑ W S k if b ∑ K b 2 + b ∑ c = b ∑ γ b c ⋅ K b ⋅ K c > 0 else S b = ma x ( min ( k ∑ W S k , K b ) , − K b )
